Description Usage Arguments Value
Function predict.KFS
computes the expected values
of missing observations given the observed data.
1 2 |
object |
object of class |
fill |
If FALSE, only predictions of missing observations are returned, and other time points are markes as NA. This is convinient for plotting purposes. If TRUE, original time series is filled with predicted values for missing observations, and F[t] = 0 if observation is not missing. Default is FALSE. |
... |
Ignored. |
A list with the following components:
y |
Time series object with missing observations replaced by E(y[t]|y). |
F |
Covariances Cov(y[t]|y). Note that this is the usual multivariate version of F[t] given by Z[t]P[t]Z'[t] + H[t], not the univariate version given by KFS. |
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